The mask property of the control can be set to ##:##:## ??. However, the control can only distinguish between numbers and letters. The user could enter 99:99:99 XX. You would still have to validate the time with the IsDate() function.
If you are going with an ActiveX control, try the DTPicker in the Common Controls and set the format property to 2 (dtpTime). This provides a text box with and Up/Down control and the user can only enter a valid time.